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Optimal investment paths during the life cycle of a multi-funds system

Author

Listed:
  • Arboleda, Alejandra

    () (Suramericana S.A.)

  • Soto, Carlos

    () (Inversiones)

  • Gutierrez, Juan

    () (EAFIT)

Abstract

Teniendo en cuenta el nuevo esquema de multifondos en Colombia, perteneciente al Régimen de Ahorro Individual, se realizó un análisis mediante la aplicación de herramientas estocásticas y actuariales, con el fin de determinar el momento en el cual un agente (de acuerdo con sus características sociales: género, expectativa salarial, momento en el que empieza a cotizar y probabilidad de cotización) debe realizar el tras- lado de su cuenta de pensiones entre los diferentes portafolios ofrecidos. Considerando la rentabilidad y el riesgo que desean asumir los agentes como elementos clave, en general se observa que los individuos deben permanecer un gran porcentaje de su vida laboral en el Fondo de Mayor Riesgo para alcanzar una mayor a cumulación de capital financiero y aumentar la probabilidad de obtener una tasa de reemplazo razonable.

Suggested Citation

  • Arboleda, Alejandra & Soto, Carlos & Gutierrez, Juan, 2013. "Optimal investment paths during the life cycle of a multi-funds system," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 18(35), pages 72-88.
  • Handle: RePEc:ris:joefas:0064
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    More about this item

    Keywords

    Multi-funds; Replacement rate: Lifecycle funds; Value at risk; Optimal trajectory;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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